mcpagodaengine.hpp

Langue: en

Autres versions - même langue

Version: 164411 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/basket/mcpagodaengine.hpp - Monte Carlo engine for pagoda options.

SYNOPSIS


#include <ql/instruments/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Classes


class MCPagodaEngine< RNG, S >
Pricing engine for pagoda options using Monte Carlo simulation.

Detailed Description

Monte Carlo engine for pagoda options.

Author

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